Cook bacon in a Dutch oven until crisp; drain on paper towels, reserving drippings in pan. Crumble bacon, and set aside.
Add vegetable oil to pan drippings; whisk in flour. Cook over medium-low heat, stirring constantly, until roux is caramel colored (about 25 minutes).
Add celery and next 3 ingredients; cook, stirring constantly, 10 minutes or until tender.
Stir in broth and next 4 ingredients; bring to a boil. Reduce heat, and simmer, uncovered, 1 hour, stirring occasionally and skimming as necessary. Stir in okra and next 3 ingredients; bring to a boil. Reduce heat, and simmer, uncovered, 30 minutes.
Saut mushrooms in butter in a large skillet over medium-high heat 3 to 4 minutes or until liquid evaporates.
Add to broth mixture.
Add bacon, scallops, and next 3 ingredients to broth; bring to a boil. Reduce heat, and simmer, uncovered, 5 minutes or until scallops are done; discard bay leaves.